| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/t0044
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| 来源ID | Technical Working Paper 0044
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| Asset Pricing Theories |
| Michael Rothschild
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| 发表日期 | 1985-03-01
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| 出版年 | 1985
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| 语种 | 英语
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| 摘要 | This article compares two leading models of asset pricing: the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT): I argue that while the APT is compatible with the data available for testing theories of asset pricing, the CAPM is not. In reaching this conclusion emphasis is placed on the distinction between the unconditional (relatively incomplete) information which econometricians must use to estimate asset pricing models and the conditional (complete) information which investors use in making the portfolio decisions which determine asset prices. Empirical work to date suggests that it is unlikely that the APT will produce a simple equation which explains differences in risk premium well with a few parameters. If the CAPM were correct, it would provide such an equation. |
| 主题 | Macroeconomics
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| URL | https://www.nber.org/papers/t0044
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558810
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推荐引用方式
GB/T 7714 |
Michael Rothschild. Asset Pricing Theories. 1985.
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文件名：
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t0044.pdf
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格式：
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Adobe PDF
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